期刊名称：Journal of Statistical and Econometric Methods
印刷版ISSN：2241-0384
电子版ISSN：2241-0376
出版年度：2018
卷号：7
期号：3
语种：English
出版社：Scienpress Ltd
摘要：We did not find any study,besides a few event studies, in the environmental literature that has estimatedthe effect of the regulatory cost on the financial value of individual firms inthe United States. Cost-benefit methodology does not deal with the impact onthe stock value of a firm. To fill this gap, time series models are used toestablish a functional relationship between stock price and prices of the SO2allowance, coal, natural gas and electricity. Stock prices and the SO2price are found to be non-stationary. For most of the firms, using thegeneralized conditionalheteroscedasticity model we find that the exogenous variables (naturalgas, coal and electricity prices) are largely insignificant in affecting thestock prices of firms. Hence, we dropped these variables from the functionalspecification for the relationship between the stock price and the SO2allowance price. We find that the regulatory cost represented by the SO2price is neutral in affecting the stock price of electric generation firms. Wespeculate or theorize that the public is indirectly paying for theenvironmental protection cost, otherwise SO2 price would havedampened the stock prices of firms.Mathematics SubjectClassification: C22,Q26.Keywords: GARCH,stock price, SO2 allowance, coal, natural gas.
关键词：GARCH;stock price; SO2 allowance; coal; natural gas
